Você está aqui: Entrada Eventos Seminários do GFM Root's barrier, viscosity solutions of obstacle problems and reflected FBSDEs
Acções do Documento

Root's barrier, viscosity solutions of obstacle problems and reflected FBSDEs

Seminário do GFM
IIIUL, B3-01
2013-04-18 14:00 .. 15:00
Adicionar evento ao calendário:   vCal    iCal

Gonçalo dos Reis (Tech. Univ. Berlin, Alemanha)

Following work of Dupire (2005), Carr-Lee (2010) and Cox-Wang (2011) on connections between Root's solution of the Skorokhod embedding problem, free boundary PDEs and model-independent bounds on options on variance we propose an approach with viscosity solutions. Besides extending the previous results, it gives a link with reflected FBSDEs as introduced by El Karoui et. al. (1997) and allows for easy convergence proofs of numerical schemes via the Barles-Souganidis (1991) method. (see arXiv:1301.3798)